I have quite a few (like someone said, I immerse a lot in movies, and it's easy to get me), but here is the more notable:
Event Horizon: I'm watching the movie in theater with my girlfriend. The scene was creppy, but she's the one that did the actual spine chilling to me, by accident. There is the scene with the nude red-haired girl with no eyes. My GF isn't watching the scene, she has her eyes covered with her hands, too scared. I don't know that yet. Two seconds after we see the eyeless girl, she leans to my right ear and murmurs with a soft feminine voice "You don't want my poor little eyes to get hurt, do you ?"
Man. That was the most frightening moment of my life.
I looked at her, her eyes still covered with her hands. When she removed them, I half expected her to be eyeless. ONLY THEN realising what she meant (that watching an horror movie would hurt her eyes with horrible scenes, she didn't know what was going on screen at the moment, just coincidence).
It took a good two hours after we left the theater for my adrenalin to stop hurting my legs and arms. Totally freaky.
And you know what ? I enjoyed it. Nothing makes you feel alive like moments such as those.